Nonparametric estimation of conditional VaR and expected shortfall
From MaRDI portal
Publication:299264
DOI10.1016/J.JECONOM.2008.09.005zbMATH Open1429.62385OpenAlexW2000185500MaRDI QIDQ299264FDOQ299264
Publication date: 22 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.09.005
Recommendations
- NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY
- Conditional VAR and expected shortfall: a new functional approach
- Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
- On estimating the conditional expected shortfall
- Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory
expected shortfallempirical likelihoodvalue-at-risklocal linear estimationnonparametric smoothingboundary effectsweighted double kernel
Nonparametric estimation (62G05) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
- Regression Quantiles
- Coherent measures of risk
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems
- Local Linear Quantile Regression
- Title not available (Why is that?)
- Methods for Estimating a Conditional Distribution Function
- Weighted Nadaraya-Watson regression estimation
- Nonparametric estimation of conditional VaR and expected shortfall
- Trending time-varying coefficient time series models with serially correlated errors
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- REGRESSION QUANTILES FOR TIME SERIES
- Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models
- Multivariate wavelet-based shape-preserving estimation for dependent observations
- ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
- Efficient Estimation of a Distribution Function under Quadrant Dependence
- Semiparametric estimation of Value at Risk
- Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
Cited In (44)
- NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY
- A smoothing stochastic algorithm for quantile estimation
- Averaged extreme regression quantile
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
- Nonparametric estimation of conditional VaR and expected shortfall
- Two nonparametric approaches to mean absolute deviation portfolio selection model
- Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity
- A smooth non-parametric estimation framework for safety-first portfolio optimization
- A nonparametric approach to calculating value-at-risk
- Estimation of complier expected shortfall treatment effects with a binary instrumental variable
- Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
- Strong consistency of tail value-at-risk estimator and corresponding general results under widely orthant dependent samples
- RIGHT-TAIL INFORMATION IN FINANCIAL MARKETS
- Nonparametric estimates for conditional quantiles of time series
- Title not available (Why is that?)
- Deep learning for enhanced index tracking
- Estimation of conditional quantiles from data with additional measurement errors
- Asymptotically efficient estimation of the conditional expected shortfall
- Local quantile regression
- Model-free inference for tail risk measures
- A data-driven framework for consistent financial valuation and risk measurement
- Conditional value-at-risk: semiparametric estimation and inference
- Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory
- Conditional VAR and Expected Shortfall: A New Functional Approach
- Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk
- High-Order Conditional Quantile Estimation Based on Nonparametric Models of Regression
- Linking Tukey's legacy to financial risk measurement
- Econometric modeling of risk measures: a selective review of the recent literature
- Time series quantile regression using random forests
- Bayesian CV@R/super-quantile regression
- Nonparametric estimation of operational value-at-risk (OpVaR)
- SPECIFICATION TEST FOR CONDITIONAL DISTRIBUTION WITH FUNCTIONAL DATA
- Local linear double and asymmetric kernel estimation of conditional quantiles
- Risk forecasting in (T)GARCH models with uncorrelated dependent innovations
- Consistency of recursive nonparametric Kernel estimates for independent functional data
- Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences
- Asymptotic behavior of Mean-CVaR portfolio selection model under nonparametric framework
- Optimal multivariate quota-share reinsurance: a nonparametric mean-CVaR framework
- Some recent developments in modeling quantile treatment effects
- NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY
- ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE
- Nonparametric kernel estimation of expected shortfall under negatively associated sequences
- Inference for joint quantile and expected shortfall regression
- On estimating the conditional expected shortfall
Uses Software
This page was built for publication: Nonparametric estimation of conditional VaR and expected shortfall
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q299264)
